PCEF Options History — November 2010

In November 2010, PCEF traded between $25.15 and $26.72. ATM implied volatility averaged 15.2%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.4% (HV 20d: 9.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.61.

Notable Days

2010-11-12: Highest Volume — 91 contracts
2010-11-18: Largest IV spike — 37.8% change
2010-11-09: Highest IV Rank — 5.1%
2010-11-15: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.06	$25.15	$26.72	$26.22	$25.80
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	15.2%	12.0%	18.1%	12.4%	15.6%
Expected Move	4.2%	3.1%	5.0%	3.6%	4.5%
HV 20d	9.8%	6.5%	13.2%	6.6%	13.1%
HV 60d	7.9%	6.5%	9.3%	7.0%	9.0%
IV Rank	3.5%	1.8%	5.1%	2.1%	3.7%
IV Percentile	30.6%	12.9%	46.7%	15.7%	33.5%
Term Structure	1.8%	-4.9%	30.7%	-4.1%	3.4%
VWIV	14.9%	10.2%	18.1%	11.4%	18.1%
Skew 25d	1.8%	-2.9%	9.6%	-1.9%	-2.0%
Skew 10d	4.7%	-3.0%	12.5%	1.2%	4.5%
Call IV 25d	17.1%	12.8%	21.2%	18.9%	21.2%
Put IV 25d	18.9%	13.1%	23.2%	17.0%	19.1%
Bid-Ask Spread %	36.74	9.72	94.72	40.58	31.81
Gamma HHI	0.99	0.98	1.00	0.98	1.00
Net GEX	-39.2K	-62.9K	-20.6K	-24.7K	-47.2K
Net DEX	167.6K	90.7K	348.6K	137.0K	174.5K
Net VEX	-895	-1.1K	-578	-651	-938
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.61	0.00	10.00	4.30	10.00
Total Volume	11.905	0	91	53	0
Total OI	274.952	218	304	218	269

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-11-01	$26.22	$25.00	12.4%	3.6%	6.6%	2.1%	11.4%	-1.9%	-4.1%	-24.7K	137.0K	-651	4.30	40.58	N/A	N/A	10	43	5	213
2010-11-02	$26.33	$25.00	12.5%	3.6%	6.5%	2.1%	0.0%	-2.9%	-4.5%	-27.3K	122.4K	-578	0.00	10.10	N/A	N/A	0	0	5	216
2010-11-03	$26.38	$25.00	14.7%	4.2%	6.5%	3.3%	0.0%	0.9%	-4.9%	-31.3K	107.8K	-731	0.00	94.72	N/A	N/A	0	24	5	256
2010-11-04	$26.60	$25.00	14.4%	4.1%	7.1%	3.1%	0.0%	-2.9%	-4.9%	-32.6K	138.6K	-836	0.00	9.72	N/A	N/A	0	11	5	276
2010-11-05	$26.69	$25.00	15.7%	4.2%	7.1%	3.8%	0.0%	9.1%	1.1%	-33.2K	90.7K	-650	0.00	12.38	N/A	N/A	0	0	5	280
2010-11-08	$26.72	$25.00	16.9%	4.5%	7.1%	4.4%	0.0%	9.6%	-4.4%	-20.6K	168.6K	-1.0K	0.00	12.51	N/A	N/A	0	0	5	280
2010-11-09	$26.56	$25.00	18.1%	3.1%	7.4%	5.1%	0.0%	-0.0%	-0.3%	-28.7K	127.9K	-795	0.00	41.57	N/A	N/A	0	0	5	280
2010-11-10	$26.51	$25.00	17.3%	4.1%	7.3%	4.7%	0.0%	8.2%	-4.8%	-22.8K	175.1K	-1.0K	0.00	88.16	N/A	N/A	0	0	4	280
2010-11-11	$26.28	$25.00	13.4%	3.8%	7.7%	2.6%	0.0%	7.2%	0.6%	-38.5K	113.8K	-695	0.00	23.16	N/A	N/A	0	3	4	280
2010-11-12	$25.96	$25.00	13.1%	3.8%	7.7%	2.4%	10.2%	0.9%	1.9%	-47.7K	148.7K	-849	0.14	14.31	N/A	N/A	80	11	4	283
2010-11-15	$25.62	$25.00	17.4%	5.0%	8.9%	4.7%	17.4%	1.9%	-0.5%	-48.0K	224.5K	-1.1K	0.00	16.49	N/A	N/A	0	5	4	293
2010-11-16	$25.15	$25.00	17.3%	4.9%	10.8%	4.6%	17.3%	2.8%	-1.4%	-62.9K	348.6K	-1.1K	0.00	39.75	N/A	N/A	0	24	4	298
2010-11-17	$25.52	$25.00	12.0%	3.4%	12.0%	1.8%	0.0%	0.6%	30.7%	-53.0K	222.7K	-1.1K	0.00	50.31	N/A	N/A	0	0	4	295
2010-11-18	$25.80	$25.00	16.5%	4.7%	12.7%	4.2%	0.0%	-1.0%	0.2%	-49.3K	182.6K	-937	0.00	16.54	N/A	N/A	5	0	4	295
2010-11-19	$25.84	$25.00	16.2%	4.6%	12.7%	4.0%	0.0%	-1.9%	-0.8%	-49.5K	162.2K	-931	0.00	17.88	N/A	N/A	0	0	9	295
2010-11-22	$25.86	$25.00	14.9%	4.3%	12.7%	3.3%	18.1%	-0.1%	6.3%	-47.5K	155.5K	-874	0.00	41.32	N/A	N/A	0	20	9	239
2010-11-23	$25.75	$25.00	15.4%	4.4%	12.8%	3.6%	0.0%	-0.5%	2.8%	-38.5K	186.7K	-1.0K	10.00	23.81	N/A	N/A	1	10	9	249
2010-11-24	$25.95	$25.00	13.8%	4.0%	13.1%	2.8%	0.0%	3.6%	9.0%	-37.8K	169.6K	-998	0.00	87.50	N/A	N/A	0	3	10	259
2010-11-26	$25.87	$25.00	16.4%	4.7%	13.2%	4.1%	0.0%	0.6%	2.2%	-42.3K	178.0K	-994	0.00	84.51	N/A	N/A	0	0	10	259
2010-11-29	$25.86	$25.00	14.7%	4.2%	13.2%	3.2%	0.0%	5.5%	10.5%	-39.0K	184.1K	-983	0.00	14.50	N/A	N/A	0	0	10	259
2010-11-30	$25.80	$25.00	15.6%	4.5%	13.1%	3.7%	0.0%	-2.0%	3.4%	-47.2K	174.5K	-938	0.00	31.81	N/A	N/A	0	0	10	259